IE doesn't display served .ico files inline with a page, and it's unlikely you're gonna be able to make it display them without doing some kind of processing. At the most simple level, you can just read the external images and serve them up as the right mime type [type="image/x-icon"], without converting them.
Try to use a webserver on your computer, and you'll observe the same result as you get from NW. It's about header information here. If you open an HTML file in IE from your desktop, that header information is simply not there.
I think the best thing to do is convert them to another format. If you are displaying the icons manually then you could download each, convert it with an image program to PNG for example, and upload them to your project.
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